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Applied Economics Letters Volume 28, 2021 - Issue 14
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Research Article

How well the log periodic power law works in an emerging stock market?

Bikramaditya Ghosha School of Business and Management, Christ University, Bangalore, India
,
Dimitris Kenourgiosb Department of Economics & UoA Center for Financial Studies, National and Kapodistrian University of Athens, AthensGreeceCorrespondence[email protected]
ORCID Iconhttps://orcid.org/0000-0003-2676-2524
ORCID Icon,
Antony Francisa School of Business and Management, Christ University, Bangalore, India
&
Suman Bhattacharyyac Department of Physics, Christ University, Bangalore, India
Pages 1174-1180 | Published online: 06 Aug 2020

References

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  • Geraskin, P., and D. Fantazzini. 2013. “Everything You Always Wanted to Know about Log-periodic Power Laws for Bubble Modeling but Were Afraid to Ask.” European Journal of Finance 19 (5): 366–391. doi:10.1080/1351847X.2011.601657.
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  • Johansen, A., and D. Sornette. 2001. “Bubbles and Anti-bubbles in Latin-American, Asian and Western Stock Markets: An Empirical Study.” International Journal of Theoretical & Applied Finance 4 (6): 853–920. doi:10.1142/S0219024901001218.
  • Kuropka, I., and P. Korzeniowski. 2013. “Forecasting the Critical Points of Stock Markets’ Indices Using Log-periodic Power Law.” Ekonometria 1 (39): 100–110.
  • Kurz-Kim, J.-R. 2012. “Early Warning Indicator for Financial Crashes Using the Log Periodic Power Law.” Applied Economics Letters 19 (15): 1465–1469. doi:10.1080/13504851.2011.633885.
  • Lin, L., R. E. Ren, and D. Sornette. 2014. “The Volatility-confined LPPL Model: A Consistent Model of “Explosive” Financial Bubbles with Mean-reverting Residuals.” International Review of Financial Analysis 33: 210–225. doi:10.1016/j.irfa.2014.02.012.
  • Sarda, V., Y. Karmarkar, N. Lakhotia, and P. Sen. 2010. “What Can the Log-periodic Power Law Tell about Stock Market Crash in India?” Applied Economics Journal 17 (2): 45–54.
  • Sornette, D., A. Johansen, and J. Bouchaud. 1996. “Stock Market Crashes, Precursors and Replicas.” Journal of Physique 6: 167–175.
  • Zhou, W., and D. Sornette. 2003. “Renormalization Group Analysis of the 2000-2002 Anti-bubble in the US S&P 500 Index: Explanation of the Hierarchy of 5 Crashes and Prediction.” Physica A. ArXiv:Physics/0301023v2physics/0301023v2 330(3–4):584–604. doi:10.1016/j.physa.2003.09.022.

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